Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0486
Annualized Std Dev 0.2378
Annualized Sharpe (Rf=0%) 0.2044

Row

Daily Return Statistics

Close
Observations 5565.0000
NAs 1.0000
Minimum -0.2312
Quartile 1 -0.0065
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0074
Maximum 0.1286
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0150
Skewness -1.0172
Kurtosis 18.2522

Downside Risk

Close
Semi Deviation 0.0112
Gain Deviation 0.0099
Loss Deviation 0.0124
Downside Deviation (MAR=210%) 0.0156
Downside Deviation (Rf=0%) 0.0110
Downside Deviation (0%) 0.0110
Maximum Drawdown 0.6271
Historical VaR (95%) -0.0222
Historical ES (95%) -0.0359
Modified VaR (95%) -0.0229
Modified ES (95%) -0.0498
From Trough To Depth Length To Trough Recovery
2000-08-23 2002-10-09 2005-12-06 -0.6271 1325 529 796
2007-11-07 2009-03-09 NA -0.6214 3365 335 NA
2007-07-20 2007-08-16 2007-09-25 -0.1451 47 20 27
2006-05-11 2006-06-13 2006-11-22 -0.1307 137 23 114
1999-07-07 1999-09-24 1999-11-11 -0.1154 83 52 31

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.5 -1 1.5 -0.5 0 -0.9 0.9 -0.5 0 1.3 -1.2 -1.5 -2.4
2000 0.4 0.7 1.7 0.7 3.1 1.9 -2.4 1.5 0 -0.4 1.9 0.9 10.3
2001 0.3 -0.6 1.4 0.4 0.4 2.7 0.5 -2.2 -0.5 2.4 1 -0.8 4.9
2002 0.5 0 -0.5 -0.1 -0.4 0.6 1 0.5 3.5 0.8 -0.2 0.6 6.3
2003 1.4 0.1 0.7 -0.5 0.7 -1.8 0.6 1.1 1 0.3 0.2 0.4 4.3
2004 1.1 0.9 1.4 0 0.4 0.1 0.2 1.5 1.2 -0.4 0.3 0.6 7.5
2005 1 -0.4 -0.4 0.7 0.8 -0.7 0.8 1.7 0.7 0.4 1.9 -0.4 6.1
2006 -0.2 1.1 -1.4 0.4 0 0.8 0.5 0.9 -0.7 -0.9 0 -0.1 0.4
2007 0.7 -0.9 -0.3 -0.3 1.2 0.4 -1 1.6 1.3 -2.6 -1.5 -1.3 -2.8
2008 2.1 -2.9 1.2 -0.3 1 0.2 -1.8 -1.2 -0.7 -0.4 -4.5 2 -5.3
2009 -1.3 -1.7 3.2 3.3 1.7 1.4 1.9 -2.6 -4.2 -3.2 3.2 0.5 1.9
2010 1.9 2 1.8 -1.4 -1.2 -1 0.5 2.1 1.1 0.4 2.4 0.2 9.1
2011 2 -0.6 1 0 -2.8 0.7 0.2 -0.1 -1.7 -3.3 -0.2 1.6 -3.3
2012 0.9 1 0.1 0.6 -1.9 3 -0.5 0.9 0.7 0.7 -0.2 1.4 7
2013 0.7 0.3 -0.4 -0.9 -2 0.3 0.3 -0.2 0.4 -0.3 0.4 0.5 -0.9
2014 -0.1 0.6 0.5 -0.2 0.2 0.5 -1 0.1 -0.8 0.5 -0.3 0 0
2015 -0.5 0.2 0.4 0.1 -0.3 -0.4 0.1 -3.2 0 -1.7 1.4 -0.7 -4.6
2016 -0.5 2.2 -0.4 0.6 0.2 1.3 -1.2 0.7 0.3 0.1 0.4 -0.1 3.7
2017 -0.3 0.7 0 -0.2 0.7 -0.1 -0.3 0.9 0 0.3 1.5 0.1 3.4
2018 -0.3 -0.6 1.8 0 -0.1 1.4 -0.3 -1.3 1.2 1.1 0 0.5 3.2
2019 0.3 -0.5 1.3 -0.7 -0.4 0.2 -0.5 0.2 -1.3 0.9 -0.1 0.6 0
2020 -1.6 -1.3 -4.9 -2.2 2 0.2 -0.5 0.7 0.6 -0.6 0.6 -0.7 -7.6
2021 1.1 2.2 0 NA NA NA NA NA NA NA NA NA 3.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  12.1 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  12.2 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  12.9 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  12.8 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  12.9 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  12.8 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart